BP VWAP Strategy

VWAP (Volume Weighted Average Price) is the average price weighted by volume traded. It's the benchmark institutions use to evaluate execution. Price above VWAP = bullish, below = bearish. VWAP acts as dynamic support/resistance.

Most charting platforms have VWAP as a standard indicator. Add 'VWAP' indicator, typically with standard deviation bands (1 SD and 2 SD). Ensure it's set to session/daily reset. TradingView, ThinkOrSwim, etc. all have VWAP.

Avoid first 30 minutes (VWAP establishing), last 30 minutes (volatile session close), earnings days (gaps override VWAP), and extremely low volume days (VWAP less meaningful).

Session VWAP resets daily and shows intraday average. Anchored VWAP calculates from a specific date (like earnings) and shows average since that event - useful for swing trading.

Use 1.5× ATR from entry or beyond the signal extreme (like beyond the 2 SD band for mean reversion). VWAP trades are typically shorter duration so stops are tighter than swing trades.

Use Session VWAP for intraday entries, Weekly VWAP (from Monday open) for swing bias, Monthly VWAP for major levels. Strongest signals when all three align (price above all = strong bullish).

Check oil's position relative to its VWAP. BP bullish signal with oil above its VWAP = confirmed. BP bullish but oil below its VWAP = divergence warning. Aligned signals increase probability.

VWAP cross with above-average volume (>1.2× average) indicates institutional participation and higher probability of follow-through. Low volume crosses are more likely to fail.

First establish trend (price clearly above or below VWAP). Wait for pullback to touch or approach VWAP. Enter on reversal candle (hammer, engulfing) with stop beyond VWAP. Target previous high/low or outer band.

US session (9:30 PM - 4:00 AM SGT) is most practical. The overlap period (9:30 PM - 12:30 AM SGT) when both London and US are open offers best liquidity and tightest spreads.

Calculate VWAP: Cumulative(Typical_Price × Volume) / Cumulative(Volume). Bands: Volume-weighted standard deviation. Signals: Mean reversion at ±2 SD with reversal candle, cross with volume confirmation, pullback with bounce. Add oil filter and time filters.

Institutions use VWAP algorithms to execute large orders. These create buying/selling pressure at VWAP throughout the day. Price gravitates toward VWAP. End of day often sees VWAP convergence. Trade pullbacks knowing VWAP algos provide support/resistance.

Use VWAP as center strike for neutral strategies. Sell straddles at VWAP betting on range within bands. Buy calls at -2 SD band for defined-risk mean reversion longs. Buy puts at +2 SD for defined-risk shorts. Use weekly options for VWAP timeframe.

Calculate VWAP starting from earnings announcement date. Shows average price since results. Price above earnings VWAP = market accepting new valuation. Acts as major support/resistance until next earnings. Trade pullbacks to this level for swing trades.

Separate intraday VWAP capital (20-30% of trading capital). Per-trade 2% risk max. Total intraday BP exposure 5% max. Don't overlap with swing positions. Track by signal type. Compare to buy-and-hold benchmark.